In Mexico, whey is discarded into drains without treatment, which represents an environmental problem. It is known that whey is a mixture of nutrients that increase biochemical demand (BOD) and chemical oxygen demand (COD), exceeding the limits established by national and international standards. Some uses of whey have been proposed to reduce the negative impact it produces on the environment. Some of these uses are the production of high‐value raw materials, separation of macromolecules of industrial interest, and the generation of energy, among others. The integral use of waste under a biorefinery scheme represents a viable alternative for the use of this waste. In this way, the chemical composition of the waste can be used to recover compounds with high added value. The main objective of this review is to propose a dairy whey biorefinery to use components of commercial interest. This biorefinery process involves three stages: the first is the separation of lactoferrin using a polyacrylamide matrix (PAM) impregnated with copper; the second is lactic fermentation using the residue resulting from the separation of lactoferrin, from which lactic acid, hydrolyzed proteins, and probiotics will be obtained. Finally, in the third stage, the residue from the previous stage can be used to generate biogas. © 2020 Society of Chemical Industry and John Wiley & Sons, Ltd